Itchy feet vs cool heads: Flow of funds in an agent-based financial market

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• 作者：Jan Palczewski^a ; ^{j.palczewski@leeds.ac.uk" class="auth_mail" title="E-mail the corresponding author} ; Klaus Reiner Schenk-Hopp&eacute ; ^b ; ^c ; ^{klaus.schenk-hoppe@manchester.ac.uk" class="auth_mail" title="E-mail the corresponding author} ; Tongya Wang^d ; ^e ; ^{tongya.wang@sbs.ox.ac.uk" class="auth_mail" title="E-mail the corresponding author}
• 关键词：D53 ; G18 ; C63
• 刊名：Journal of Economic Dynamics and Control
• 出版年：2016
• 出版时间：February 2016
• 年：2016
• 卷：63
• 期：Complete
• 页码：53-68
• 全文大小：895 K

文摘

Investors tend to move funds when they are unhappy with their current portfolio managers׳ performance. We study the effect of the size of this flow of funds in an agent-based model of the financial market. The model combines the discrete choice approach from agent-based modelling, where all capital is mobile, with the evolutionary finance framework where all growth is endogenous. Our results show that, if investors exhibit recency bias in evaluating portfolio managers׳ performance, even a small amount of freely flowing capital has a huge impact on the market dynamics and the survival of noise traders. We also find that investors׳ intensity of choice is a driving force for excess volatility and extreme price movements when the size of the flow of funds is large.